Shade Smooth and Auto-Smooth problem when combining objects
Solution 01
Smooth/flat shading is applied per face, not per object.
So just change it for individual faces of your mesh.  

Here is an example of a chain.
It's one object, consisting of multiple meshes, like in your case.  

Select only one mesh.
Click a face and then Select->Select Linked->Linked


Apply shading only to these faces.
Mesh->Shading->Smooth faces


You're done.
Different parts of your object are now shaded differently.


Solution 02
Play with the Auto-smooth angle.
Auto-smooth is applied per the whole object, but you can adjust what edges are considered smooth.


Solution 02.1
(thanks to Robin Betts)
Mark some edges as sharp.
They will then be shaded flat, no matter what the angle is.
Edge->Mark Sharp.